Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
This paper studies asymptotic likelihood inference on cointegration parameters in systems integrated of order two. We start with so-called triangular systems and then extend the analysis to vector autoregressions. We show that even when all unit root restrictions have been imposed, the asymptotic observed information is not (locally) ancillary, which implies that the log-likelihood ratio is not locally asymptotically mixed normal. The results are applied to inference on polynomial cointegration. Some similarities and differences with I(1) systems are also discussed.